Transparent Augmented Black-Litterman Allocation: Simple and Unified Framework for Strategy Combination, Factor Mimicking, Hedging, and Stock-Specific Alphas

Posted: 8 Apr 2009 Last revised: 30 Jan 2024

Date Written: December 1, 2009

Abstract

Suggested Citation

Cheung, Wing, Transparent Augmented Black-Litterman Allocation: Simple and Unified Framework for Strategy Combination, Factor Mimicking, Hedging, and Stock-Specific Alphas (December 1, 2009). Available at SSRN: https://ssrn.com/abstract=1347663 or http://dx.doi.org/10.2139/ssrn.1347663

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